(Quick answer: Manage Add-ons, highlight Search Providers type, and the check box is in the bottom pane of the window.)
(Quick note: There is no setting to add a search bar to IE9. You either search from the address bar or add a third-party search toolbar like Google, Yahoo or Bing toolbar.)
With Internet Explorer 6, 7 and 8 I tended to use Firefox, Chrome or other browser-of-the-moment for personal surfing and use IE for work use, partially because many work sites relied on IE-specific functions or plugins. By default IE enables searching from the address bar, and this resulted in quite a few mistyped corporate intranet URLs being sent to the public internet as search queries. The paranoid part of me sees this as a security risk (exposing intranet desgin since the public can see some query stats), and it also was a simple pain in the butt because the address was now a search string instead of my original mistype that I could edit and resend. So I got in the habit of always turning off search-from-address-bar in IE, which setting in IE6, IE7 and IE8 was in the advanced tab of internet options.
Enter IE9, which is more-or-less unusable without search-from-address-bar. Nowadays I tend to have IE, Firefox and Chrome open simultaneously logged into different Twitter, Google or other accounts. IE8 had the cool search bar like Firefox, so I never changed back my search settings. After installing IE9 the search bar disappeared, and my don't-search-from-address bar settings carried over from IE8, and the setting no longer appears in the advanced tab. It took me several tries, but I finally found it under Manage Add-ons, highlight Search Providers type, and the check box is in the bottom pane of the window along with a check box to prevent programs from suggesting changes to your search settings.